On estimation of a heteroscedastic measurement error model under heavy-tailed distributions

Chun-Zheng Cao, Jin-Guan Lin and Xiao-Xin Zhu

Computational Statistics & Data Analysis, 2012, vol. 56, issue 2, 438-448

Abstract: It is common in epidemiology and other fields that the analyzing data is collected with error-prone observations and the variances of the measurement errors change across observations. Heteroscedastic measurement error (HME) models have been developed for such data. This paper extends the structural HME model to situations in which the observations jointly follow scale mixtures of normal (SMN) distribution. We develop the EM algorithm to compute the maximum likelihood estimates for the model with and without equation error respectively, and derive closed forms of asymptotic variances. We also conduct simulations to verify the effective of the EM estimates and confirm their robust behaviors based on heavy-tailed SMN distributions. A practical application is reported for the data from the WHO MONICA Project on cardiovascular disease.

Keywords: Heteroscedastic measurement error; Scale mixtures of normal distribution; Maximum likelihood; EM algorithm; Equation error (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:2:p:438-448

DOI: 10.1016/j.csda.2011.08.011

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